“…Maximization of the robust functional was considered, among others, by Fölmer and Gundel [3], Gundel [5], Hernández and Schied [6], Korn and Menkens [7], Korn and Wilmott [8], Mataramvura and Øksendal [9], Øk-sendal and Sulem [12], [11], Schied [15], Schied and Wu [16], and Talay and Zheng [18]. Some of these papers are based on duality arguments.…”